Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 7 | 8 | 6 |
| Score | 2.38 | 3.3 | 1.68 |
| Market Cap (Millions USD) | 4021.65 | 3665.97 | 2965.65 |
| Predicted Beta | 0.31 | 0.3 | 0.3 |
| Idiosyncratic Volatility | 0.47 | 0.48 | 0.48 |
Annualized return and volatility
| SPYV | |
|---|---|
| Annualized Return | 0.0652 |
| Annualized Std Dev | 0.1808 |
| Annualized Sharpe (Rf=0%) | 0.3608 |
Row
Daily Return Statistics
| SPYV | |
|---|---|
| Observations | 4920.0000 |
| NAs | 194.0000 |
| Minimum | -0.0970 |
| Quartile 1 | -0.0041 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1050 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0114 |
| Skewness | -0.2523 |
| Kurtosis | 10.5615 |
Downside Risk
| SPYV | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0130 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5845 |
| Historical VaR (95%) | -0.0172 |
| Historical ES (95%) | -0.0282 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0275 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-06 | 2013-02-12 | -0.5845 | 1368 | 363 | 1005 |
| 2000-12-29 | 2002-10-09 | 2004-01-26 | -0.3367 | 785 | 452 | 333 |
| 2018-01-29 | 2018-12-24 | 2019-04-23 | -0.1917 | 315 | 233 | 82 |
| 2015-05-22 | 2016-02-11 | 2016-06-06 | -0.1473 | 266 | 186 | 80 |
| 2007-07-16 | 2007-08-15 | 2007-10-09 | -0.1038 | 62 | 23 | 39 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | SPYV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | 0.0 | 0.0 |
| 2001 | 0.1 | -0.7 | 0.0 | 0.4 | 0.0 | 0.0 | 0.0 | 0.0 | -0.1 | 0.9 | 0.0 | 0.0 | 0.5 |
| 2002 | 0.7 | 1.6 | -0.9 | 0.9 | 0.0 | 0.0 | -1.3 | 0.0 | 3.2 | 1.8 | 0.0 | 0.0 | 6.1 |
| 2003 | 0.0 | 0.0 | 1.0 | 0.1 | 0.0 | 0.1 | -1.3 | 0.0 | 1.5 | 0.0 | 0.4 | 0.0 | 1.8 |
| 2004 | 0.0 | 1.0 | 0.4 | 0.0 | -0.3 | -1.1 | 0.0 | 0.1 | 1.6 | 0.3 | 1.0 | 0.0 | 3.0 |
| 2005 | 0.6 | 0.4 | -0.4 | 0.0 | 0.9 | 0.3 | 0.2 | 1.3 | 0.0 | -0.9 | 1.2 | 0.0 | 3.6 |
| 2006 | 0.0 | 0.9 | 0.0 | -0.3 | 1.1 | 0.0 | -0.3 | 0.4 | 0.0 | -0.5 | -0.5 | 0.0 | 0.7 |
| 2007 | 0.4 | -0.2 | 0.0 | 0.0 | 0.2 | 0.0 | 1.2 | 0.0 | 1.4 | -2.9 | 0.0 | 0.0 | 0.1 |
| 2008 | 1.5 | 0.0 | 3.8 | 1.8 | 0.0 | 0.6 | -0.4 | 0.0 | 1.2 | 0.0 | -9.3 | 0.0 | -1.4 |
| 2009 | 0.0 | 0.0 | 1.4 | 0.2 | 2.2 | 0.5 | 0.0 | -1.9 | -2.3 | 0.0 | 1.2 | 0.0 | 1.2 |
| 2010 | 1.3 | 0.9 | 0.4 | 0.0 | -1.5 | -0.3 | 0.0 | 2.8 | 0.5 | -0.3 | 2.1 | 0.0 | 5.9 |
| 2011 | 2.0 | -1.4 | 0.3 | 0.0 | -1.8 | 1.4 | -0.2 | -0.4 | 0.0 | -4.0 | -0.4 | 0.0 | -4.6 |
| 2012 | 1.4 | 0.5 | 0.0 | 1.4 | -2.4 | 0.0 | 0.1 | 0.0 | 0.3 | 1.1 | 0.0 | 0.0 | 2.3 |
| 2013 | 1.0 | 0.3 | -0.2 | -0.6 | 0.0 | 0.6 | 0.3 | 0.0 | 0.5 | 0.2 | 0.0 | 0.0 | 2.2 |
| 2014 | 0.0 | 0.0 | 0.3 | 0.0 | 0.0 | 0.5 | -0.1 | 0.0 | -1.3 | 0.0 | -0.1 | 0.0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.5 | 0.8 | 0.2 | 0.5 | 0.0 | -3.0 | 0.2 | 0.0 | 0.9 | 0.0 | -0.9 |
| 2016 | 0.1 | 2.1 | 0.1 | 0.0 | 0.1 | 0.2 | -0.7 | -0.4 | 0.0 | -0.8 | 0.4 | 0.0 | 1.2 |
| 2017 | -0.4 | 1.5 | 0.0 | 0.1 | 0.7 | 0.0 | 0.3 | 0.5 | 0.0 | 0.3 | -0.1 | 0.0 | 2.9 |
| 2018 | 0.1 | -1.1 | 0.0 | -0.3 | 0.7 | 0.0 | -0.6 | 0.0 | 0.4 | 0.8 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.2 | 0.7 | 1.3 | -0.4 | 0.0 | 0.8 | -1.3 | 0.0 | -1.4 | 1.4 | 0.0 | -0.1 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
